PET - Plain English Taxonomy

Attribute: CS15504
Concept:
Label: On-Balance Sheet Credit Exposures
Concept Guidance:
This is the value, as at the relevant date, of on-balance sheet credit exposures.A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards. 
Form-Specifc Guidance:
Refer to Attachment B to APS 113 for details of the FIRB approach to the recognition of CRM.
Allocate exposures after CRM according to the following loss given default (LGD) categories for each assigned PD:
1. Column 4.1: Subordinated claims;
2. Column 4.2: CRE and/or RRE;
3. Column 4.3: Eligible financial receivables;
4. Column 4.4: Eligible financial collateral; and
5. Column 4.5: Senior unsecured claims.
For reporting under these five categories, the following applies:
(a) if a claim is a subordinated claim, report the full amount of EAD after CRM in column 4.1;
(b) if a senior claim is secured by commercial and/or residential real estate (CRE and/or RRE), the exposure should be allocated to the LGD categories as follows (refer to Attachment B to APS 113):
(i) where the level of collateralisation exceeds 140 per cent, report the full amount of EAD after CRM in column 4.2;
(ii) where the level of collateralisation is between 140 per cent and 30 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.2 and the uncollateralised portion in column 4.5; and
(iii) where the level of collateralisation is below 30 per cent, the collateral is not recognised. Report the full amount of EAD after CRM in column 4.5;
(c) if a senior claim is secured by eligible financial receivables, the exposure should be allocated to the relevant LGD categories as follows:
(i) where the level of collateralisation exceeds 125 per cent, report the full amount of EAD after CRM in column 4.3;
(ii) where the level of collateralisation is between 125 per cent and 0 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.3 and the uncollateralised portion in column 4.5;
(d) if a senior claim is secured by eligible financial collateral, report the exposure value after CRM as detailed in Attachment B to APS 113 in column 4.4. Report the uncollateralised portion in column 4.5;
(e) for claims secured by pools of eligible collateral, the portions fully covered by eligible financial collateral and eligible financial receivables are to be reported in the respective LGD categories. In the case of a residual portion covered by CRE and/or RRE, report the exposure in column 4.5 if the ratio of the sum of the value of CRE and RRE to the residual exposure is below 30 per cent;
(f) if a senior claim is not secured by eligible collateral, report the full amount of EAD after CRM in column 4.5.
Dimensions
Dimension Member Description
(ExposuresAtDefaultCRMAdjusted)
This dimension identifies the measurement scenario under which the reported value was calculated.
The value reported is the exposure at default (EAD) after taking into account the credit risk mitigation (CRM) techniques used by the reporting party. This amount is to be determined and adjusted for CRM in accordance with relevant prudential standards.EAD represents the gross exposure under a facility (i.e. the amount that is legally owed to the lending entity) upon default of the obligor.
(ClaimsSecuredByEligibleFinancialReceivables)
This dimension categorises information reported under the internal ratings-based (IRB) approach to credit risk, based on the loss given default category of an exposure, as determined in accordance with relevant prudential standards.
The information reported relates to exposures allocated as claims secured by eligible financial receivables according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.Only report senior claims secured by eligible financial receivables where:- the level of collateralisation exceeds 125 per cent; and- the level of collateralisation is between 125 per cent and 0 per cent and deemed fully collateralised as per relevant prudential standards.
This dimension is used to segment reported exposure information according to its associated probability of default (PD), as determined in accordance with relevant prudential standards.Where PDs are bucketed and there are multiple assigned PDs within a bucket, assign the exposure weighted average PD of the bucket.A PD of 100 per cent is to be assigned to all defaulted exposures.